Temporal difference learning for high-dimensional PIDEs with jumps
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Artificial neural networks and deep learning (68T07) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20) Jump processes on general state spaces (60J76)
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Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE
- A nonlinear partial integro-differential equation from mathematical finance
- A system of non-local parabolic PDE and application to option pricing
- An introduction to stochastic dynamics
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- CAN-PINN: a fast physics-informed neural network based on coupled-automatic-numerical differentiation method
- DGM: a deep learning algorithm for solving partial differential equations
- Deep Nitsche Method: Deep Ritz Method with Essential Boundary Conditions
- Deep learning schemes for parabolic nonlocal integro-differential equations
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations
- DeepXDE: a deep learning library for solving differential equations
- Finite basis physics-informed neural networks (FBPINNs): a scalable domain decomposition approach for solving differential equations
- Gradient-enhanced physics-informed neural networks for forward and inverse PDE problems
- Lévy Processes and Stochastic Calculus
- MIM: a deep mixed residual method for solving high-order partial differential equations
- Non-local partial differential equations for engineering and biology. Mathematical modeling and analysis
- Optimal error estimates of two mixed finite element methods for parabolic integro-differential equations with nonsmooth initial data
- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- Scientific machine learning through physics-informed neural networks: where we are and what's next
- Self-adaptive physics-informed neural networks
- Solving Allen-Cahn and Cahn-Hilliard Equations using the Adaptive Physics Informed Neural Networks
- Solving high-dimensional partial differential equations using deep learning
- The deep Ritz method: a deep learning-based numerical algorithm for solving variational problems
- Weak adversarial networks for high-dimensional partial differential equations
- \textit{hp}-VPINNs: variational physics-informed neural networks with domain decomposition
Cited in
(4)- Deep learning numerical methods for high-dimensional quasilinear PIDEs and coupled FBSDEs with jumps
- Energy-based adaptive deep unfitted Nitsche method for elliptic interface problems
- Solving high-dimensional partial integral differential equations: the finite expression method
- Multiagent relative investment games in a jump diffusion market with deep reinforcement learning algorithm
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